AA Options History — June 2011

In June 2011, AA traded between $35.37 and $38.93. ATM implied volatility averaged 34.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 5.9% (HV 20d: 28.2%). Max pain ranged from $40.85 to $43.25. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2011-06-10: Highest Volume — 48,540 contracts
  • 2011-06-09: Largest IV spike — 10.4% change
  • 2011-06-16: Highest IV Rank — 32.1%
  • 2011-06-16: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.05$35.37$38.93$38.66$38.11
Max Pain$41.83$40.85$43.25$40.85$40.85
ATM IV34.1%30.4%37.5%30.4%32.9%
Expected Move9.9%8.7%10.8%8.7%9.4%
HV 20d28.2%26.1%30.5%29.1%26.1%
HV 60d28.2%27.2%28.7%28.7%28.0%
IV Rank24.1%15.5%32.1%15.5%21.4%
IV Percentile58.8%27.8%77.4%27.8%53.2%
Term Structure-1.0%-2.9%2.7%2.7%-2.5%
VWIV35.1%32.0%38.5%32.0%33.9%
Skew 25d1.5%-1.1%3.8%-0.8%3.8%
Skew 10d2.6%-6.2%6.6%-6.2%6.4%
Call IV 25d34.9%32.0%38.8%32.2%32.0%
Put IV 25d36.4%31.5%40.4%31.5%35.8%
Bid-Ask Spread %3.852.845.674.244.02
Gamma HHI0.220.140.330.290.21
Net GEX-1.3M-5.0M4.0M-3.2M4.0M
Net DEX252.6M132.7M433.2M166.3M137.7M
Net VEX-2.8M-3.0M-2.6M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.216.760.280.33
Total Volume20,311.7736,58648,54024,42015,879
Total OI543,230.636491,709591,115526,766545,799

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$38.66$40.8530.4%8.7%29.1%15.5%32.0%-0.8%2.7%-3.2M166.3M-2.9M0.284.24N/AN/A19,1375,283259,215267,551
2011-06-02$38.93$40.8531.0%8.9%29.3%16.8%32.6%-1.1%2.3%-2.3M134.8M-3.0M0.343.78N/AN/A6,3962,165270,373269,954
2011-06-03$38.26$43.2530.9%9.7%28.5%16.6%34.0%1.6%-1.1%-3.1M201.2M-2.9M0.373.65N/AN/A12,1494,549267,709268,251
2011-06-06$37.51$43.2533.4%9.9%28.7%22.4%35.0%2.3%-1.2%-3.4M261.5M-2.8M0.943.52N/AN/A5,3165,002272,752269,604
2011-06-07$37.70$43.2530.8%9.9%27.2%16.6%34.9%0.9%-1.1%-3.6M236.9M-2.8M0.334.14N/AN/A9,7533,211271,517270,291
2011-06-08$37.03$43.2530.6%10.1%27.5%16.0%35.2%0.8%-0.9%-3.0M296.2M-2.7M1.193.73N/AN/A4,8085,723276,828269,492
2011-06-09$37.25$43.2533.8%9.7%26.7%23.4%34.3%0.4%-0.5%-3.1M283.3M-2.6M0.402.84N/AN/A6,8262,745277,489268,293
2011-06-10$36.72$43.2534.5%9.9%26.6%25.1%34.7%1.2%-0.5%-2.8M315.0M-2.6M6.763.68N/AN/A6,25742,283276,866268,709
2011-06-13$36.29$43.2537.4%10.7%26.6%32.0%38.5%-0.8%-2.3%-4.4M374.0M-2.7M0.303.19N/AN/A20,4146,167279,486296,135
2011-06-14$37.03$40.8535.3%10.1%28.2%26.9%35.3%0.5%-1.3%-4.1M317.6M-2.8M0.783.43N/AN/A4,4483,449288,365295,019
2011-06-15$35.95$40.8537.1%10.6%28.3%31.3%37.7%0.7%-1.7%-3.9M389.5M-2.7M2.713.83N/AN/A10,18227,617286,119294,546
2011-06-16$35.54$43.2537.5%10.8%27.5%32.1%38.1%1.9%-0.1%-5.0M416.4M-2.7M2.574.45N/AN/A9,06623,287286,357298,934
2011-06-17$35.37$43.2537.3%10.7%27.4%31.6%38.1%2.2%-0.1%-2.3M433.2M-2.7M1.033.97N/AN/A13,99814,469288,363302,752
2011-06-20$35.52$40.8533.8%9.7%26.7%23.5%34.5%2.0%0.1%-1.2M267.2M-2.6M0.463.72N/AN/A6,7383,126232,544259,165
2011-06-21$36.93$40.8534.8%10.0%30.5%25.7%34.3%2.0%-2.2%-83.6K190.4M-2.8M0.684.16N/AN/A27,15918,523234,454260,251
2011-06-22$36.74$40.8533.4%9.6%30.2%22.6%32.9%2.4%-1.1%1.2M206.2M-2.8M0.535.67N/AN/A5,0822,692247,720267,657
2011-06-23$36.72$40.8534.8%10.0%29.6%25.9%35.0%1.5%-1.4%1.2M194.8M-2.8M0.383.90N/AN/A14,7005,551248,678265,095
2011-06-24$36.60$40.8535.5%10.2%29.6%27.5%35.2%2.4%-1.3%1.5M193.0M-2.9M3.794.23N/AN/A7,92530,010256,037268,704
2011-06-27$36.72$40.8536.3%10.4%29.4%29.3%36.3%2.4%-1.6%1.5M230.5M-2.9M0.463.80N/AN/A4,5212,065256,968280,594
2011-06-28$37.61$40.8534.6%9.9%29.9%25.4%35.5%2.8%-2.9%2.7M178.0M-2.9M0.213.53N/AN/A11,1962,310258,256282,986
2011-06-29$38.02$40.8533.5%9.6%26.2%22.8%34.3%3.1%-2.6%3.8M132.7M-2.9M0.383.24N/AN/A10,6054,077262,195283,001
2011-06-30$38.11$40.8532.9%9.4%26.1%21.4%33.9%3.8%-2.5%4.0M137.7M-2.9M0.334.02N/AN/A11,9753,904262,824282,975